Definition, existence, and uniqueness of the Brownian motion

Author(s):  
Frank Knight
2021 ◽  
Vol 58 (1) ◽  
pp. 22-41
Author(s):  
Fabian A. Harang ◽  
Marc Lagunas-Merino ◽  
Salvador Ortiz-Latorre

AbstractWe propose a new multifractional stochastic process which allows for self-exciting behavior, similar to what can be seen for example in earthquakes and other self-organizing phenomena. The process can be seen as an extension of a multifractional Brownian motion, where the Hurst function is dependent on the past of the process. We define this by means of a stochastic Volterra equation, and we prove existence and uniqueness of this equation, as well as giving bounds on the p-order moments, for all $p\geq1$. We show convergence of an Euler–Maruyama scheme for the process, and also give the rate of convergence, which is dependent on the self-exciting dynamics of the process. Moreover, we discuss various applications of this process, and give examples of different functions to model self-exciting behavior.


2021 ◽  
Vol 2021 (1) ◽  
Author(s):  
Hossein Jafari ◽  
Marek T. Malinowski ◽  
M. J. Ebadi

AbstractIn this paper, we consider fuzzy stochastic differential equations (FSDEs) driven by fractional Brownian motion (fBm). These equations can be applied in hybrid real-world systems, including randomness, fuzziness and long-range dependence. Under some assumptions on the coefficients, we follow an approximation method to the fractional stochastic integral to study the existence and uniqueness of the solutions. As an example, in financial models, we obtain the solution for an equation with linear coefficients.


2019 ◽  
Vol 11 (1) ◽  
pp. 76
Author(s):  
Eric Djeutcha ◽  
Didier Alain Njamen Njomen ◽  
Louis-Aimé Fono

This study deals with the arbitrage problem on the financial market when the underlying asset follows a mixed fractional Brownian motion. We prove the existence and uniqueness theorem for the mixed geometric fractional Brownian motion equation. The semi-martingale approximation approach to mixed fractional Brownian motion is used to eliminate the arbitrage opportunities.


2009 ◽  
Vol 09 (03) ◽  
pp. 437-477 ◽  
Author(s):  
AURÉLIEN DEYA ◽  
SAMY TINDEL

We define and solve Volterra equations driven by an irregular signal, by means of a variant of the rough path theory called algebraic integration. In the Young case, that is for a driving signal with Hölder exponent γ > 1/2, we obtain a global solution, and are able to handle the case of a singular Volterra coefficient. In case of a driving signal with Hölder exponent 1/3 < γ < 1/2, we get a local existence and uniqueness theorem. The results are easily applied to the fractional Brownian motion with Hurst coefficient H > 1/3.


2018 ◽  
Vol 26 (3) ◽  
pp. 143-161
Author(s):  
Ahmadou Bamba Sow ◽  
Bassirou Kor Diouf

Abstract In this paper, we deal with an anticipated backward stochastic differential equation driven by a fractional Brownian motion with Hurst parameter {H\in(1/2,1)} . We essentially establish existence and uniqueness of a solution in the case of stochastic Lipschitz coefficients and prove a comparison theorem in a specific case.


2007 ◽  
Vol 2007 ◽  
pp. 1-14 ◽  
Author(s):  
Jiajie Wang ◽  
Qikang Ran ◽  
Qihong Chen

We are concerned with the solutions of a special class of backward stochastic differential equations which are driven by a Brownian motion, where the uniform Lipschitz continuity is replaced by a stochastic one. We prove the existence and uniqueness of the solution in Lp with p>1.


2022 ◽  
Vol 0 (0) ◽  
Author(s):  
Sadibou Aidara ◽  
Ibrahima Sane

Abstract This paper deals with a class of deplay backward stochastic differential equations driven by fractional Brownian motion (with Hurst parameter H greater than 1 2 {\frac{1}{2}} ). In this type of equation, a generator at time t can depend not only on the present but also the past solutions. We essentially establish existence and uniqueness of a solution in the case of Lipschitz coefficients and non-Lipschitz coefficients. The stochastic integral used throughout this paper is the divergence-type integral.


2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
Litan Yan ◽  
Qinghua Zhang

We consider the stochastic functional differential equations with finite delay driven byG-Brownian motion. Under the global Carathéodory conditions we prove the existence and uniqueness, and as an application, we price the European call option when the underlying asset's price follows such an equation.


2010 ◽  
Vol 20 (09) ◽  
pp. 2761-2782 ◽  
Author(s):  
M. J. GARRIDO-ATIENZA ◽  
B. MASLOWSKI ◽  
B. SCHMALFUß

In this paper, the asymptotic behavior of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/2 is studied. In particular, it is shown that the corresponding solutions generate a random dynamical system for which the existence and uniqueness of a random attractor is proved.


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